Tri-Party Repo Data: Summary for April 2017 to August 2017

The Federal Reserve Bank of New York (FRBNY) continues to track and release monthly statistics of the U.S. tri-party repo market. This post concerns the April 2017 through August 2017 statistics (the “Five-Month Period”).

In March 2017, the FRBNY discontinued publishing the PDF and excel files containing single month statistics to which we have ordinarily provided a hyperlink. Instead, tri-party repo statistics will only be available on a consolidated basis through the FRBNY’s tri-party repo interactive tool (available here) and master excel data file (current version here).

Total collateral in the U.S. tri-party repo market decreased to just above 1.72 trillion for April 2017 before rising in May 2017 to $1.84 trillion, and then in June 2017 to a multi-year high of $1.87 trillion. It then saw a decrease in July and August 2017, ending at $1.82 trillion. As of August 9, 2017, total collateral has remained above the $1.70 trillion level for the last 11 months, since rising to that level in October 2016 for the first time since 2013, and has remained above the $1.80 trillion level for the last four months. As of June 2017, U.S. Treasuries excluding Strips collateral was $983.80 billion; it then decreased to $925.99 billion in July 2017 and to $887.51 billion in August 2017. However, it was still the 11th straight month above the $800 billion level. During the Five-Month Period, Equities collateral hovered around the $130 billion level, then rose to almost $139 billion in July 2017, and ended at $141.6 billion in August 2017. In July 2017, Agency Debentures and Strips hit an all-time low of $34.79 billion, but increased in August 2017 to $40.48 billion.

Other than U.S. Agency CMOs (which fluctuated between 3% and 4%), median margin levels for the Fedwire-eligible collateral types were unchanged during the Five-Month Period. In April 2017, the median margin level for Private Label, Non-Investment Grade Collateralized Mortgage Obligations collateral increased from 8% to 9%, dropped back to 8% in May and June 2017, fell to 5% in July 2017, and ended at 3% in August 2017. The median margin level for CMO Private Label Investment Grade collateral decreased 2 percentage points to 5% during the Five-Month Period.